Accessible version of figures

Estimated Global Systemically Important Bank Capital Surcharges

Figure 1: Best Estimate

(in basis points)

G-SIB Scores	Bucket 0 52-129	Bucket 1 130-229	Bucket 2 230-329	Bucket 3 330-429	Bucket 4 430-529	Bucket 5 530-629
Capital Surcharges (rounded to nearest 25 basis points)
Basel	0	100	150	200	250	350
Estimation
Lower Reference Bank Score	125	275	350	400	425	475
Estimated Probability of Default	225	475	625	700	775	825
Effect of Short-Term Funding	400	825	1050	1200	1325	1400

Note: See BCBS (2013) for details about the global systemically important bank (G-SIB) score. For Basel capital surcharges, the reference bank G-SIB score is 130 basis points; for the best estimate, the reference bank G-SIB score is 52 basis points, which is the lower bound of the one-sided 95 percent confidence interval of the correlated loss model centered at 130 basis points. Probability of default and the effect of short-term funding are estimated using the lower tail of the return on risk-weighted assets distribution from 2008-2013. Bucket 5 is crossed out to indicate that it is empty (Financial Stability Board, 2016). Continuous capital surcharges are based on a capital conservation buffer of 2.5 percent from BCBS (2010).

Source: BCBS (2016a), BCBS (2016b), Bureau van Dijk (2016), Financial Stability Board (2016).

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Figure 2: Optimistic Estimate: High Confidence in Other Basel III Reforms

(in basis points)

G-SIB Scores	Bucket 1 130-229	Bucket 2 230-329	Bucket 3 330-429	Bucket 4 430-529	Bucket 5 530-629
Capital Surcharges (rounded to nearest 25 basis points)
Basel	100	150	200	250	350
Estimation
Estimated Probability of Default	100	250	325	400	450
Effect of Short-Term Funding	150	350	475	575	650

Note: See BCBS (2013) for details about the global systemically important bank (G-SIB) score. For Basel capital surcharges and the optimistic estimate, the reference bank G-SIB score is 130 basis points. Probability of default and the effect of short-term funding are estimated using the lower tail of the return on risk-weighted assets distribution from 2008-2013; the optimistic estimate uses the lower bounds of the 95 percent confidence intervals of estimated parameters. Bucket 5 is crossed out to indicate that it is empty (Financial Stability Board, 2016). Continuous capital surcharges are based on a capital conservation buffer of 2.5 percent from BCBS (2010).

Source: BCBS (2016a), BCBS (2016b), Bureau van Dijk (2016), Financial Stability Board (2016).

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Figure 3: Pessimistic Estimate: Low Confidence in Other Basel III Reforms

(in basis points)

G-SIB Scores	Bucket 0 16-129	Bucket 1 130-229	Bucket 2 230-329	Bucket 3 330-429	Bucket 4 430-529	Bucket 5 530-629
Capital Surcharges (rounded to nearest 25 basis points)
Basel	0	100	150	200	250	350
Estimation
Lower Reference Bank Score	325	475	525	575	600	625
Estimated Probability of Default	675	1000	1125	1225	1275	1350
Effect of Short-Term Funding	1300	1875	2150	2300	2425	2525

Note: See BCBS (2013) for details about the global systemically important bank (G-SIB) score. For Basel capital surcharges, the reference bank G-SIB score is 130 basis points; for the pessimistic estimate, the reference bank G-SIB score is 16 basis points, which is the minimum G-SIB score in the Basel sample of banks. Probability of default and the effect of short-term funding are estimated using the lower tail of the return on risk-weighted assets distribution from 2008-2013; the pessimistic estimate uses the upper bounds of the 95 percent confidence intervals of estimated parameters. Bucket 5 is crossed out to indicate that it is empty (Financial Stability Board, 2016). Continuous capital surcharges are based on a capital conservation buffer of 2.5 percent from BCBS (2010).

Source: BCBS (2016a), BCBS (2016b), Bureau van Dijk (2016), Financial Stability Board (2016).

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